Hi,
1. Yes it is still best to encapsulate that kind of funnctrionality into a UserControl and embed the usercontrol into layout.master rather than directly coding the slide show in layout.master.
2. Artisteer doesn't offer support for questions about modifying the designs after they have been exported from Artisteer, and neither do I have any specific detailed advice about it, you'll have to figure out by trial and error where to position the usercontrol and you may possibly need to tweak css. I would say it should work ok as long as you design the header (in Artisteer) with enough room for the slideshow. If I were doing it I would try putting it inside <div class="art-header-inner"> </div> first and if that doesn't produce the right result I'd experiment. You may need a div with a custom css class inside the usercontrol and use positioning.
3. You can include your custom theme in style.config and you can tell mojoPortal not to load the css from the cdn by setting IncludejQueryUI="false" on <portal:StylesheetCombiner in your layout.master file.
Hope that helps,
Joe